作者：CHEN, LHY; ROOS, M
作者单位：University of Zurich
摘要：A second order error bound is obtained for approximating integral h d (Q) over tilde by integral h dQ, where (Q) over tilde is a convolution of measures and Q a compound Poisson measure on a measurable abelian group, and the function h is not necessarily bounded. This error bound is more refined than the usual total variation bound in the sense that it contains the function h. The method used is inspired by Stein's method and hinges on bounding Radon-Nikodym derivatives related to d (Q) over t...
作者：GYONGY, I; NUALART, D; SANZSOLE, M
作者单位：University of Barcelona
摘要：We prove an approximation theorem for stochastic differential equations, under rather weak smoothness conditions on the coefficients, when the driving semimartingales are approximated by continuous semimartingales, in probability, and the solutions are considered in several Banach spaces, defined in terms of different types of the modulus of continuity. Hence Stroock-Varadhan's support theorem is obtained in these spaces, in particular, in appropriate Besov and Holder spaces.
作者：BASS, RF; BURDZY, K
摘要：We give an upper bound for the Green functions of conditioned Brownian motion in planar domains. A corollary is the conditional gauge theorem in bounded planar domains.
作者：MYKLAND, PA
摘要：The paper develops a way of embedding general martingales in continuous ones in such a way that the quadratic variation of the continuous martingale has conditional cumulants (given the original martingale) that are explicitly given in terms of optional and predictable variations of the original process. Bartlett identities for the conditional cumulants are also found. A main corollary to these results is the establishment of second (and in some cases higher) order asymptotic expansions for ma...
